methods of financial engineering strategy on locking periods：锁定期财务工程策略的方法.Image.Marked.pdf

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methods of financial engineering strategy on locking periods：锁定期财务工程策略的方法.Image.Marked.pdf

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methods of financial engineering strategy on locking periods：锁定期财务工程策略的方法.Image.Marked

Available online at Systems Engineering Procedia Systems Engineering Procedia 00 (20 11) 000–000 Systems Engineering Procedia 3 (2012) 119 – 124 /locate/procedia The 2nd International Conference on Complexity Science Information Engineering Methods of Financial Engineering: Strategy on Locking Periods a b Delong Lee , Chengchuan Pu a* aPeking University, NO.5 Yiheyuan Street, Beijing (100871), China bPeking University, NO.5 Yiheyuan Street, Beijing (100871), China Abstract From the perspective of financial engineering, this article conducts empirical tests towards the impact of China’s A Stocks’ Reform (unlocking the non-tradable stocks) using event study method and finds positive and negative abnormal returns under different conditions. Such reform has a great effect on individual stocks. However, it is difficult to predict bullish or bearish solely on ‘style’, such as industries, market capitalization, unlocking ratio and the size of the shareholders. A hedge portfolio based on shareholders and unlocking ratio does not bring sign